Composite Likelihood for Stochastic Migration Model with Unobserved Factor
Author:
Affiliation:
1. Department of Economics, York University, Toronto, Canada
2. Toulouse School of Economics, Toulouse , France
3. Department of Economics, University of Toronto, Toronto, Canada
4. Equitable (EQ) Bank , Toronto, Canada
Abstract
Funder
Authority of Prudential Control and Resolution
ECR DYSMOIA
Natural Sciences and Engineering Council of Canada
Publisher
Oxford University Press (OUP)
Subject
Economics and Econometrics,Finance
Link
https://academic.oup.com/jfec/advance-article-pdf/doi/10.1093/jjfinec/nbad031/54429317/nbad031.pdf
Reference47 articles.
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2. Credit Risk Measurement: Developments over the Last 20 Years;Altman;Journal of Banking & Finance,1998
3. Exploring the Sources of Default Clustering;Azizpour;Journal of Financial Economics,2018
4. Rating Migration and the Business Cycle with Application to Credit Portfolio Stress Testing;Bangia;Journal of Banking & Finance,2002
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